This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as...

Diese Dissertation (dt.: Einbeziehung von Modellunsicherheit in das Selektionsproblem von Schätzern für erwartete Renditen) beschäftigt sich mit der Unsicherheit aus einer Vielzahl verfügbarer Schätzer für latente erwartete Renditen den korrekten Schätzer auszuwählen. Anhand des...